Performance of Maturity Transformation Strategies

42 Pages Posted: 30 Nov 2020

See all articles by Christoph Schmidhammer

Christoph Schmidhammer

Deutsche Bundesbank - Deutsche Bundesbank University of Applied Sciences

Vanessa Hille

University of Siegen

Arnd Wiedemann

University of Siegen

Date Written: 2020

Abstract

This paper analyses the performance of maturity transformation strategies during a period of high and low interest rates. Based on German government bond yields from September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both sample periods. During the period of low interest rates, dominant strategies can be observed for short-term and medium-term gaps. With respect to different financial reporting standards, we address maturity transformation results from an earnings-based perspective as well as from a market value-based perspective.

JEL Classification: G11, G12, G21

Suggested Citation

Schmidhammer, Christoph and Hille, Vanessa and Wiedemann, Arnd, Performance of Maturity Transformation Strategies (2020). Deutsche Bundesbank Discussion Paper No. 58/2020, Available at SSRN: https://ssrn.com/abstract=3737260 or http://dx.doi.org/10.2139/ssrn.3737260

Christoph Schmidhammer (Contact Author)

Deutsche Bundesbank - Deutsche Bundesbank University of Applied Sciences

Schloss
Hachenburg, 57627
Germany

Vanessa Hille

University of Siegen ( email )

Hoelderlinstrasse 3
57068 Siegen, NRW 57068
Germany

Arnd Wiedemann

University of Siegen ( email )

Hoelderlinstrasse 3
57068 Siegen, NRW 57068
Germany

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